Value-at-RiskVaR
0.65
↑
0.001%
from yesterday
Expected ShortfallES
0.81
↑
0.001%
from yesterday
25% Drop Probability25% Drop
1.3%
↑
0.002%
from yesterday
Years Until 25% Drop25% Freq.
79.5years
↓
0.127%
from yesterday
Model RiskModel Risk
2.04
↑
0.063%
from yesterday
Risk Forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | Mean | ModelRisk |
|---|---|---|---|---|---|---|---|---|
| VaR | 0.82 | 0.8 | 0.41 | 0.52 | 0.53 | 0.84 | 0.65 | 2.04 |
| ES | 1.09 | 0.92 | 0.47 | 0.59 | 0.67 | 1.13 | 0.81 | 2.4 |
Returns Time Series
Returns Distribution
Value at Risk (VaR)
Expected Shortfall (ES)
Autocorrelation Function
QQ Plots
Extreme Event Analysis
